Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0692
Annualized Std Dev 0.2508
Annualized Sharpe (Rf=0%) 0.2760

Row

Daily Return Statistics

Close
Observations 3733.0000
NAs 1.0000
Minimum -0.1410
Quartile 1 -0.0062
Median 0.0011
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0077
Maximum 0.1559
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0158
Skewness -0.5218
Kurtosis 12.2618

Downside Risk

Close
Semi Deviation 0.0117
Gain Deviation 0.0108
Loss Deviation 0.0132
Downside Deviation (MAR=210%) 0.0160
Downside Deviation (Rf=0%) 0.0115
Downside Deviation (0%) 0.0115
Maximum Drawdown 0.6478
Historical VaR (95%) -0.0227
Historical ES (95%) -0.0391
Modified VaR (95%) -0.0239
Modified ES (95%) -0.0462
From Trough To Depth Length To Trough Recovery
2006-05-24 2008-11-20 2011-02-16 -0.6478 1193 630 563
2018-08-30 2020-03-18 2020-12-04 -0.5102 571 389 182
2011-05-02 2011-10-03 2012-03-15 -0.2887 221 108 113
2015-06-24 2016-02-11 2016-11-21 -0.2794 358 161 197
2012-03-27 2012-06-04 2013-01-02 -0.1343 193 48 145

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA -1.6 -0.3 0.4 -0.1 0 0.1 0.2 0.2 -1
2007 0.5 -0.4 0.1 -0.2 0.4 -0.2 0.3 1.3 1.3 -1.5 0.5 -2.4 -0.4
2008 2.3 -3.2 3 1 -0.1 0 0 -1.2 -1 4.7 -8.9 3.5 -0.6
2009 -1.3 -1.3 2 1.5 3.2 1.2 0.5 -1.8 -3.6 -2.4 1.6 -0.2 -0.8
2010 2 1.7 0.8 -2.3 -3.1 -0.1 0.2 3.6 0.2 -0.7 2.2 -0.4 4
2011 1.5 -2.2 0.3 0.4 -2.2 1.9 -0.9 -1.8 -2.2 -4.2 0.2 -0.1 -9
2012 1.4 0.4 0.4 1 -3.6 3 -1.2 0.3 0.1 1.5 0 2 5.2
2013 0.8 0.1 -1.4 -1.4 -1.2 0.3 1.1 -1.2 1 -0.4 0 0.4 -1.9
2014 -0.7 0.1 1.1 0.3 -0.3 0.8 -0.4 0.6 -1.8 1.7 -2.4 -0.8 -1.9
2015 -1.2 0.1 -0.9 0.9 0.4 0.1 -0.1 -2.7 0 0.2 0.7 -0.3 -2.8
2016 0.8 1.7 0 -0.6 0.5 0.8 -0.8 -0.2 1.3 -1.4 -1.2 -0.3 0.5
2017 -0.3 1.8 0.6 0.5 1.7 0.8 -0.3 0.3 0.3 -0.1 0.3 -0.1 5.5
2018 -0.3 0.2 1.6 -0.3 0.7 -0.1 -0.1 0.4 -0.5 1.2 0.2 0.9 3.9
2019 0.4 0.9 1.3 -1.2 -1.7 0.5 -2.7 -0.2 -1.9 1.9 -0.4 0.5 -2.6
2020 -2.2 -0.3 -6.4 -4.7 1.7 -1.3 -0.7 0.5 1 -1.2 1.5 0.1 -11.7
2021 1.8 2.2 0.7 NA NA NA NA NA NA NA NA NA 4.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-05-19  21.8 SPY    127.  0.0071  -0.0166  -0.0307  -0.0133   0.0655    0.375  0.0136  GLD    65.6 -0.0279  -0.0779
2 2006-05-22  22.6 SPY    126. -0.0076  -0.026   -0.0383  -0.0184   0.0588    0.361  0.00120 GLD    65.3 -0.0043  -0.0313
3 2006-05-23  22.6 SPY    125. -0.0076  -0.032   -0.0438  -0.0317   0.045     0.338 -0.0293  GLD    66.4  0.0165  -0.0325
4 2006-05-24  21.7 SPY    126.  0.008   -0.0054  -0.0322  -0.0225   0.0558    0.346 -0.0231  GLD    64.1 -0.035   -0.06  
5 2006-05-25  22   SPY    128.  0.0124   0.012   -0.0205  -0.013    0.0697    0.339 -0.0155  GLD    64.7  0.01    -0.0409
6 2006-05-26  22   SPY    128.  0.0051   0.0101  -0.0202  -0.0083   0.0694    0.342 -0.0248  GLD    65.1  0.0062  -0.0073
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart